Multigrid preconditioning of linear systems for semi-smooth Newton methods applied to optimization problems constrained by smoothing operators

DOI10.1080/10556788.2013.854356zbMATH Open1308.65104arXiv1106.0090OpenAlexW1567357472MaRDI QIDQ2926054FDOQ2926054

Andrei Drăgănescu

Publication date: 29 October 2014

Published in: Optimization Methods \& Software (Search for Journal in Brave)

Abstract: This article is concerned with the question of constructing effcient multigrid preconditioners for the linear systems arising when applying semismooth Newton methods to large-scale linear-quadratic optimization problems constrained by smoothing operators with box-constraints on the controls. It is shown that, for certain discretizations of the optimization problem, the linear systems to be solved at each semismooth Newton iteration reduce to inverting principal minors of the Hessian of the associated unconstrained problem. As in the case when box-constraints on the controls are absent, the multigrid preconditioner introduced here is shown to increase in quality as the mesh-size decreases, resulting in a number of iterations that decreases with mesh-size. However, unlike the unconstrained case, the spectral distance between the preconditioners and the Hessian is shown to be of suboptimal order in general.

Full work available at URL: https://arxiv.org/abs/1106.0090

zbMATH Keywords

preconditioningnumerical resultoptimal controlmultigridlarge-scale optimizationsemi-smooth Newton methodsoptimization with PDE constraints

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Preconditioners for iterative methods (65F08) Existence theories for optimal control problems involving partial differential equations (49J20) Newton-type methods (49M15) Discrete approximations in optimal control (49M25)

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Cited In (4)

• Multigrid Preconditioners for the Newton--Krylov Method in the Optimal Control of the Stationary Navier--Stokes Equations
• A New Petrov–Galerkin Smoothed Aggregation Preconditioner for Nonsymmetric Linear Systems
• Multidimensional sum-up rounding for integer programming in optimal experimental design
• Optimal-order preconditioners for linear systems arising in the semismooth Newton solution of a class of control-constrained problems

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